The december treasury bond futures price is currently 91-12, Financial Management

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The december treasury bond futures price is currently 91-12

On August 1, a portfolio manager has a bond portfolio worth $10 million.

The duration of the portfolio in October will be 7.1 years. The December Treasury bond futures price is currently 91-12 and the cheapest-to-deliver bond will have a duration of 8.8 years at maturity. How should the portfolio manager immunize the portfolio against changes in interest rates over the next 2 months?

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Financial Management: The december treasury bond futures price is currently 91-12

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Financial Management: The december treasury bond futures price is currently 91-12

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